Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0318 |
| Annualized Std Dev | 0.2576 |
| Annualized Sharpe (Rf=0%) | -0.1236 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2918.0000 |
| NAs | 1.0000 |
| Minimum | -0.1071 |
| Quartile 1 | -0.0087 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0089 |
| Maximum | 0.0814 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0162 |
| Skewness | -0.2453 |
| Kurtosis | 2.8782 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.6975 |
| Historical VaR (95%) | -0.0259 |
| Historical ES (95%) | -0.0377 |
| Modified VaR (95%) | -0.0268 |
| Modified ES (95%) | -0.0425 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-10-23 | 2020-03-23 | NA | -0.6975 | 2871 | 2620 | NA |
| 2009-08-24 | 2009-08-25 | 2009-09-09 | -0.0644 | 12 | 2 | 10 |
| 2009-09-22 | 2009-10-02 | 2009-10-09 | -0.0551 | 14 | 9 | 5 |
| 2009-08-17 | 2009-08-17 | 2009-08-19 | -0.0304 | 3 | 1 | 2 |
| 2009-10-16 | 2009-10-16 | 2009-10-19 | -0.0223 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | -1.8 | -2.5 | -4.4 | 3.4 | -0.9 | -6.2 |
| 2010 | 3.5 | 2.2 | 2.3 | -1.8 | -0.6 | 0.2 | 0.8 | 4.1 | 0.6 | -0.9 | 7.3 | 0.9 | 20.1 |
| 2011 | 1.2 | -1.9 | 0.1 | 0.6 | 1.8 | -2.2 | -1.3 | 0.8 | -3.6 | -3.4 | -1.4 | 1.5 | -7.7 |
| 2012 | 0.6 | 2.8 | 0.6 | 1.3 | -2 | 4 | -0.2 | 1.2 | -0.4 | 1.9 | -0.5 | 4 | 13.9 |
| 2013 | 2.9 | -2.5 | 0.7 | -0.5 | -1.5 | 2.2 | 0.5 | 1.3 | 1.4 | -0.8 | 0.1 | 0.9 | 4.7 |
| 2014 | -1.1 | -0.3 | -1.8 | -1.4 | 0 | 0.7 | 0.5 | 1 | 0.6 | 1.5 | -0.1 | 1.9 | 1.5 |
| 2015 | -0.9 | -0.2 | -1.1 | 0.5 | -0.3 | 0.8 | -0.6 | -3.3 | 0.1 | -0.8 | 0.1 | 0.1 | -5.5 |
| 2016 | -1.8 | 1.3 | -1.2 | 0.1 | 0.1 | 0.2 | -2.1 | -1.8 | 0.5 | -1 | -0.6 | -0.3 | -6.5 |
| 2017 | 1.2 | 0.7 | 0.2 | 0.5 | 1.1 | 1.4 | 0 | -0.2 | 0.2 | 2.1 | -1 | 1.4 | 7.8 |
| 2018 | -0.9 | -1.9 | 0.6 | -1 | 3.5 | 0.5 | -0.7 | 0.4 | -1.4 | 0.7 | -0.6 | -0.7 | -1.6 |
| 2019 | -1.6 | 0.4 | 2.7 | -1 | 0.1 | 1.6 | -1.4 | 0.8 | -0.9 | 2.5 | -1.2 | 0.5 | 2.4 |
| 2020 | -4.1 | 0.3 | -1.1 | -4.3 | 2.6 | 2.4 | -1.2 | 1 | 0.7 | -0.5 | 1.2 | -0.1 | -3.3 |
| 2021 | 0.8 | 2.6 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-08-14 26.0 SPY 101. -0.0077 -0.0041 0.0825 0.136 -0.222 -0.207 -0.0597 GLD 93 -0.0077 -0.008
2 2009-08-17 25.2 SPY 98.3 -0.0246 -0.0265 0.0444 0.0776 -0.245 -0.236 -0.0922 GLD 91.6 -0.0149 -0.0142
3 2009-08-18 25.8 SPY 99.1 0.0079 -0.0064 0.0416 0.0875 -0.228 -0.236 -0.0902 GLD 92.1 0.0049 -0.0079
4 2009-08-19 26.1 SPY 100. 0.0088 -0.0083 0.0459 0.104 -0.213 -0.231 -0.0915 GLD 92.5 0.0051 -0.0045
5 2009-08-20 27.0 SPY 101. 0.0103 -0.0057 0.0569 0.132 -0.208 -0.227 -0.0795 GLD 92.3 -0.0028 -0.0155
6 2009-08-21 27.5 SPY 103. 0.0196 0.0216 0.0544 0.157 -0.194 -0.209 -0.068 GLD 93.6 0.015 0.007
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
